Building financial derivatives applications with C++

著者

書誌事項

Building financial derivatives applications with C++

Robert Brooks

Quorum Books, 2000

大学図書館所蔵 件 / 全14件

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注記

Includes bibliographies and index

内容説明・目次

内容説明

Radical developments in financial management, spurred by improvements in computer technology, have created demand for people who can use modern financial techniques combined with computer skills such as C++. Dr. Brooks gives readers the ability to express derivative solutions in an attractive, user-friendly format, and the ability to develop a permanent software package containing them. His book explains in detail how to write C++ source code and at the same time explains derivative valuation problems and methods. Entry level as well as experienced financial professionals have already found that the ability to understand and write C++ code has greatly enhanced their careers. This is an important hands-on training resource for practitioners and a clearly presented textbook for graduate-level students in business and finance. Dr. Brooks combines object-oriented C++ programming with modern derivatives technology and provides numerous examples to illustrate complex derivative applications. He covers C++ within the text and the Borland C++Builder program, on which the book is based, in extensive appendices. His book combines basic C++ coding with fundamental finance problems, illustrates traditional techniques for solving more complicated problems, and develops the reader's ability to express complex mathematical solutions in the object-oriented framework of C++. It also reviews derivative solutions techniques and illustrates them with C++ code, reviews general approaches to valuing interest rate contingent claims, and focuses on practical ways to implement them. The result is a book that trains readers simultaneously in the substance of its field, financial derivatives, and the programming of solutions to problems in it.

目次

Preface Introduction Introduction to C++ Derivatives Valuation Tools of the Trade Valuing Forward Contracts and Interest Rate Swaps Valuing Stock Options Building Interest Rate Trees Mortgage-Backed Securities and Monte Carlo Simulation Value-At-Risk and Summary Bibliography Index

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